Download e-book for iPad: A Unified Approach to Interior Point Algorithms for Linear by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko

By Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise

ISBN-10: 354038426X

ISBN-13: 9783540384267

ISBN-10: 3540545093

ISBN-13: 9783540545095

Following Karmarkar's 1984 linear programming set of rules, a variety of interior-point algorithms were proposed for varied mathematical programming difficulties reminiscent of linear programming, convex quadratic programming and convex programming typically. This monograph provides a learn of interior-point algorithms for the linear complementarity challenge (LCP) that is referred to as a mathematical version for primal-dual pairs of linear courses and convex quadratic courses. a wide family members of strength aid algorithms is gifted in a unified method for the category of LCPs the place the underlying matrix has nonnegative critical minors (P0-matrix). This type comprises a number of very important subclasses resembling optimistic semi-definite matrices, P-matrices, P*-matrices brought during this monograph, and column enough matrices. The relatives comprises not just the standard capability aid algorithms but additionally direction following algorithms and a damped Newton technique for the LCP. the most themes are worldwide convergence, international linear convergence, and the polynomial-time convergence of power aid algorithms incorporated within the family.

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Additional info for A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems

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Therefore we have the inequality (i) because ~(s*)=~/in 2(s,)= (n-1)~-l} n-l) n:l 2+(n-1)(~-1) 1) + ( ~ - 1 ) 2=~-1)(1-~), 2= Noting that the inequality - log a - log b < - log(a - ,) - log(b + ,) (1-#). 45 holds for every a, b and e with 0 < a - e < a < b, we can show the inequality (ii) in a similar way. 9. 9. P r o o f of (i). @ and L~,~(r) = - - ~ t o g ( 1 + r i ) . (~) < 2(1 llrll= -{{rll) if 11~11< 1. 10 since e T r ---- O. To prove the first relation above, we assume fce,(r) < 1/6 and r ~ 0.

4. Basic A n a l y s i s of the U I P M e t h o d This section is devoted to basic analysis of the UIP method. 3. 2 introduces some neighborhoods of the path of centers and then shows relationships among them. 3 investigates a smooth version of the UIP method. Finally in Section 4A, we evaluate the change of the potential function at a new point (z, y)+0(dx, dy) generated in Step 4 of the UIP method, in terms of quadratic functions in the step size parameter 0. 1. 8) of equations in Step 3 of the UIP method whenever M is a P0-matrix.

2 is devoted to proving the above theorem. W e prepare the following three lemmas before going into the proof. The first lemma includes the inequalities that have been used repeatedly in many papers on interior point Mgorithms. See, for example, Freund [18], Karmarkar [28], Todd and Ye [72], Ye [77], etc. 10. (i) / f l + { > 0 then log(1 +~) _< ~. (ii) Let r E [0,1). If ~ E R" satisfies e + ~ >>_(1 - r)e then n (iii) If ~ E R" satisfies e + ~ > 0 then n 11~11~+ 11~113 log(1 + ~,) < er5 i=i 2 3 He,'e II~ll denotes the E,,clidean n o ~ of the ~ecto~ ~.

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A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise

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